public OneTouchCalculator(
BinaryRebateType binaryRebateType,
double strike,
double spotPrice,
double sigma,
double dividendRate,
double riskFreeRate,
double cashOrNothingAmount,
double exerciseInYears,
InstrumentType underlyingInstrumentType,
double notional = 1.0)
{
_X = strike;
_S = spotPrice;
_notional = notional;
_cashOrNothingAmount = cashOrNothingAmount;
_sigma = sigma;
_T = exerciseInYears;
_binaryRebateType = binaryRebateType;
_r = riskFreeRate;
_dividendRate = dividendRate;
_isOptionOnFutures = AnalyticalOptionPricerUtil.isFuturesOption(underlyingInstrumentType);
_isOptionOnForward = AnalyticalOptionPricerUtil.isForwardOption(underlyingInstrumentType);
_b = AnalyticalOptionPricerUtil.costOfCarry(_isOptionOnFutures || _isOptionOnForward, dividendRate, riskFreeRate);
}
/// <summary>
/// 构造函数
/// </summary>
/// <param name="startDate">开始日</param>
/// <param name="maturityDate">到期日</param>
/// <param name="exercise">行权方式</param>
/// <param name="optionType">看涨看跌</param>
/// <param name="strike">行权价</param>
/// <param name="underlyingProductType">标的资产类型</param>
/// <param name="binaryOptionPayoffType">二元期权收益类型</param>
/// <param name="cashOrNothingAmount">现金金额</param>
/// <param name="calendar">交易日历</param>
/// <param name="dayCount">日期规则</param>
/// <param name="payoffCcy">收益计算币种</param>
/// <param name="settlementCcy">结算币种</param>
/// <param name="exerciseDates">行权日</param>
/// <param name="observationDates">观察日</param>
/// <param name="notional">名义本金</param>
/// <param name="settlementGap">结算日规则</param>
/// <param name="optionPremiumPaymentDate">权利金支付日</param>
/// <param name="optionPremium">权利金</param>
/// <param name="isMoneynessOption">是否为相对行权价期权</param>
/// <param name="initialSpotPrice">标的资产期初价格</param>
/// <param name="dividends">标的资产分红</param>
/// <param name="binaryRebateType">二元期权补偿方式</param>
/// <param name="hasNightMarket">标的资产是否有夜盘交易</param>
/// <param name="commodityFuturesPreciseTimeMode">是否启用精确时间模式</param>
public BinaryOption(Date startDate,
Date maturityDate,
OptionExercise exercise,
OptionType optionType,
double strike,
InstrumentType underlyingProductType,
BinaryOptionPayoffType binaryOptionPayoffType,
double cashOrNothingAmount,
ICalendar calendar,
IDayCount dayCount,
CurrencyCode payoffCcy,
CurrencyCode settlementCcy,
Date[] exerciseDates,
Date[] observationDates,
double notional = 1,
DayGap settlementGap = null,
Date optionPremiumPaymentDate = null,
double optionPremium = 0,
bool isMoneynessOption = false,
double initialSpotPrice = 0.0,
Dictionary <Date, double> dividends = null,
BinaryRebateType binaryRebateType = BinaryRebateType.AtHit,
bool hasNightMarket = false,
bool commodityFuturesPreciseTimeMode = false)
: base(startDate, maturityDate, exercise, optionType, new double[] { strike }, underlyingProductType, calendar, dayCount,
payoffCcy, settlementCcy, exerciseDates, observationDates, notional, settlementGap,
optionPremiumPaymentDate, optionPremium,
isMoneynessOption: isMoneynessOption, initialSpotPrice: initialSpotPrice, dividends: dividends, hasNightMarket: hasNightMarket,
commodityFuturesPreciseTimeMode: commodityFuturesPreciseTimeMode)
{
if (exercise == OptionExercise.European && ExerciseDates.Length != 1)
{
throw new PricingLibraryException("Binary option cannot have more than 1 exercise dates!");
}
BinaryOptionPayoffType = binaryOptionPayoffType;
CashOrNothingAmount = cashOrNothingAmount;
BinaryRebateType = binaryRebateType;
}
